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Title:Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system PDF Logo
Authors:Caporale, Guglielmo Maria
Girardi, Alessandro
Issue Date:2011
Series/Report no.:CESifo working paper: Monetary Policy and International Finane 3525
Abstract:This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of the dominant market when our measures (as opposed to the traditional price discovery metrics) are used. We also present unambiguous evidence that a market's contribution to price discovery is crucially affected by the level of trading activity. The implications of these empirical findings are discussed in the light of the debate about the possible restructuring of the regulatory framework for the Treasury bond market in Europe.
Subjects:price discovery
liquidity
MTS system
JEL:G10
C21
C32
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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